Table 4.

Difference-in-differences regression for U.K. and U.S. ETFs (widening on March 11, 2020) .

	Quoted spread	Effective spread	Realized spread	Price impact
U.K.	4.47	1.09	0.84	0.24
	(4.52)	(1.38)	(1.14)	(0.42)
Margin increase	−5.14	−3.45${}^{\mathrm{\ast }}$	−2.07	−1.46${}^{\mathrm{\ast \ast }}$
	(6.47)	(1.98)	(1.63)	(0.60)
U.K. × Margin increase	18.21${}^{\mathrm{\ast \ast \ast }}$	7.32${}^{\mathrm{\ast \ast \ast }}$	3.04${}^{\mathrm{\ast }}$	4.20${}^{\mathrm{\ast \ast \ast }}$
	(6.20)	(1.90)	(1.57)	(0.57)
Volatility	247.90	154.02${}^{\mathrm{\ast \ast }}$	87.07${}^{\mathrm{\ast }}$	71.33${}^{\mathrm{\ast \ast \ast }}$
	(199.41)	(61.05)	(50.35)	(18.43)
Return	51.92	6.84	30.15	−30.15${}^{\mathrm{\ast \ast }}$
	(147.30)	(45.09)	(37.20)	(13.62)
Constant	−0.37	−0.32	−0.25	−0.07
	(3.25)	(1.00)	(0.82)	(0.30)
Observations	56	56	56	56
${\overline{\text{R}}}^2$	0.38	0.47	0.16	0.78

The table reports the changes to liquidity measures around the widening of the margin differential for the CSPX.L (U.K.) and SPY (U.S.), which are ETFs that track the performance of the S&P 500, traded on the LSE and NYSE, respectively. Specifically, we report the results for the following difference-in-differences regression:

${Liquidity}_{i,t}={\alpha }_0+{\beta }_1{U.K.}_{i,t}+{\beta }_2{Marginincrease}_t+{\beta }_3{U.K.}_{i,t}\times {Marginincrease}_t+{Volatility}_{i,t}+{Return}_{i,t}+{\varepsilon }_{i,t},$

where ${Liquidity}_{i,t}$ is one of the following liquidity variables: Quoted spread, Effective spread, Realized spread or Price impact for the U.S. or U.K. ETF, $i$. The dependent variables are calculated over one-hour intervals, and are expressed in basis points. ${U.K.}_{i,t}$ is an indicator variable equal to 1 if the ETF trades in the U.K., and 0 otherwise. ${Marginincrease}_t$ is an indicator variable equal to 1 for the post-period from March 11 to March 16, 2020 and 0 for the pre-period from February 5 to February 10, 2020. $Volatilit{y}_{i,t}$ and $Retur{n}_{i,t}$ are based on the FTSE 100 and S&P 500 Index levels for the U.K. and U.S. markets, respectively. $Volatilit{y}_{i,t}$ and $Retur{n}_{i,t}$ are calculated over one-hour intervals as $log({HighPrice}_{i,t}/{LowPrice}_{i,t})$ and $log({ClosePrice}_{i,t}/{OpenPrice}_{i,t})$, respectively. ${}^{\mathrm{\ast \ast \ast }}$, ${}^{\mathrm{\ast \ast }}$, and ${}^{\mathrm{\ast }}$ denote statistical significance at the 1%, 5%, and 10% levels, respectively.